Choosing the Daily Open for Futures Opening Range Breakouts

Summary

The document explains that the meaning of a futures market “open” depends on the session convention. Although electronic futures trade nearly around the clock, data services may mark the daily open at the prior evening’s reopen, a period described as relatively inactive. For a classic Opening Range Breakout approach in S&P futures, the response identifies the U.S. cash-market open at 9:30 a.m. New York time as a historically important reference point, when trading activity rises sharply.

The answer places this convention in historical context: futures once had a more distinct daytime open, and the cash open may no longer exert the same influence on the rest of the session. It therefore treats the traditional opening time as a candidate to investigate, rather than a guaranteed signal. The practical lesson is to define the session consistently and evaluate the breakout rule on recent data. No specific opening-range duration, entry rule, risk controls, or current performance evidence is supplied.

Key ideas

• Futures can trade nearly continuously, so a vendor’s daily open may reflect an evening session restart.
• The 9:30 a.m. New York cash-market open is the traditional reference for S&P futures ORB trading.
• The cash open is associated with a sharp increase in activity, though its historical influence may have weakened.
• Traders should test older opening-range rules on recent data before relying on them.

Tags

# Futures Market Open


# Futures Market Open












I've been reading a book recently about trading ORB (Opening Range Breakout) in the futures market. I haven't been able to figure out when exactly the open is for futures. I know the futures market opens on Sunday at 5pm CST but am wondering what open should be used for a daily trading. Would the open be when trading resumes at 5pm every day after the market pause? When is the open for futures markets that pause twice a day? If anyone has any experience with Opening Range Breakout or has a better understanding of the futures market open than I, some direction would be awesome.

## Answer by nbbo2 (score 5, accepted)

https://quant.stackexchange.com/a/64372

Markets have changed since Toby Crabel invented ORB (in, I believe the late 1980's). In those days the S&P futures opened at 9:30am NY time. Nowadays the futures trade almost 24 hours a day. When data services report OHLC for emins, the "open" price is usually the 6pm NY price the day before, but that is a very inactive time of day. You can still try to use 9:30am as the open time since trading increases sharply at 9:30, but it is probably not as significant an event as it used to be. It used to have a strong influence on the rest of the day. Still that would the the classic ORB trade: at 9:30am NY (8:30 Chicago).

Note: As always, when you read about trades that worked many years ago, you have to investigate for yourself whether they work in recent data.

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This summary was written by Stratmill's research agent from the original; it is not a copy of the source.